Please note: Data values previously published are subject to revision. For more information, refer to the vintage series in ALFRED®.
Financial stress decreased in the latest reporting week according to the St. Louis Fed’s Financial Stress Index (STLFSI), reversing a slight increase in the index the week prior. For the week ending May 13, the index measured -0.985—a decline of 0.064 basis points from the prior week’s revised value of -0.921.
Over the past week, 11 of the 18 indicators contributed negatively to the weekly change in the index, five more than last week. The two largest negative contributions were made by the three-month commercial paper spread (CPS_3mo) and the TED Spread (TED). As both of these spreads are measures of the credit premium over the three-month Treasury bill, their negative contributions are likely due to increasing yields on the three-month Treasury bill last week. Six indicators contributed positively to the weekly change in the index, which was six less than the previous week. The largest positive contribution was made by the financial markets’ expected inflation rate over the next 10 years (BIR_10yr).
Over the past year, 13 of the 18 indicators made a positive contribution to the index, the same number as last week. Five indicators made a negative contribution, which was also the same number as the previous week. The two largest positive contributions over the past year were made by the difference between the Merrill Lynch High-Yield Corporate Master II Index and the 10-year U.S. Treasury security (HighYield_CRS) and by the Merrill Lynch High-Yield Corporate Master II Index itself (Mlynch_HighYld_MasterII). For the 13th consecutive week, the largest negative contribution was made by the Merrill Lynch Bond Market Volatility Index (Mlynch_BMVI_1mo).
For an explanation of the 18 component variables in the STLFSI, refer to the STLFSI Key.